As far as I can tell, the so called "russian iron" was a sheet steel, manufactured in Russia, in the 19th century, which had, due to their process, a particularly nice, even gray mill scale finish.
It was not really blue, but just grayish.
http://www.narrowgauge.iform.com.au/russian-iron.html
If you read the report, this finish was the result of the limited technology of the time- the steel was brushed with a fir broom, sprinkled with charcoal, and then wrapped up in packets and wacked with a huge trip hammer. I doubt even in Russia they still make steel this way.
The blue stuff most of us think of is cheap stove pipe, which I think is probably a finish they put on cold rolled steel, not the natural color of the steel.
And since it is illegal most places to use single wall stove pipe anyway, my guess is that there is very little of that being made now anyway. Most of the single wall stove pipe I have seen in the last 20 years has been black, not blue.
I think you could easily make this finish by using either cold rolled or galvaneal, and spraying a transparent wash coat of tinted clear. When they say they dont want paint, they indicate they dont really know what they are talking about- as except for stainless steel hoods, every stove hood made, including copper ones, has some kind of painted finish on it, even if it is just a clear coat.
I have done a lot of work for rich people, as I lived in LA for 10 years, and they often get these silly ideas in their heads, which bear no resemblance to reality. Sometimes they can be talked down, sometimes they can be redirected, and other times you just have to tell em that its flat out impossible. Usually they will find somebody else who will lie to em, and tell em what they want to hear, then do it the way you would have done it after all, or fake it with paint. Often times imported european stuff is sold with completely misleading, or outright false stories as to what it is or how it was made- and then they want you to replicate, by hand, and in a quantity of one, something that was mass produced in a computerised factory. Then they want you to beat the price, as well.